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MassMutual Equity Quantitative Strategist in Boston, Massachusetts

Objectives of this role

  • Contribute research and views on the equity index markets in support of MassMutual’s Variable Annuity and Macro Equity hedging programs

  • Create quantitative frameworks to optimize and analyze investment/hedging strategies for equity indices

  • Develop and deepen expertise with currencies to aid in the management of MassMutual’s currency hedging program

  • Collaborate with team members to advance the progress of a multi-year initiative to modernize and enhance MassMutual Investment Management’s risk analytics and reporting platform

  • Deepen the department’s relationship with MassMutual’s Data Science team to enrich research efforts with large data sets and drive common interests

  • Work with Enterprise Risk Management to provide model validation and program oversight support

Responsibilities

The Equity Quantitative Strategist will be a member of the Quantitative Research and Development (R&D) team within Investment Management’s Portfolio Management group. The candidate will provide color on relevant market events and look to create and test quantitative equity strategies that can aid the portfolio management team in its decision process. The position requires strong subject matter expertise in quantitative methods, equity index derivatives and Python development. The Strategist will also work with developers and other team members to enhance MassMutual Investment Management’s analytics platform to further our overall mission to increase policyholder value.

Skills and qualifications

  • Degree in math, statistics, computer science, quantitative finance, or engineering

  • Strong statistical skills

  • 7+ years of relevant work experience – deep understanding of option greeks and uses of both listed and OTC equity index options along with delta one instruments (futures, TRS) in portfolio management

  • Deep understanding of implied volatility and relative value analysis and familiarity with modeling non-vanilla derivatives

  • Ability to deliver equity market insights that can be converted into tradable portfolio management strategies

  • Programming proficiency in Python, SQL, and VBA

  • Bias towards continuous improvement

Preferred qualifications

  • Graduate degree from top tier school

  • Experience in a market risk setting at an insurance company, asset manager, bank, or hedge fund

  • CFA/MBA/MFE

  • Familiarity with nuances of variable annuity products

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